金融工程的基本分析方法-資料下載頁(yè)
2025-08-01 15:25本頁(yè)面
【正文】 于期初的組合應(yīng)該等于看漲期權(quán)的價(jià)值 ， 即有 N S0B=c0,把 N和 B 代入本式中 ， 得到看漲期權(quán)的價(jià)值公式 c0=[pcu+(1p)cd]er(Tt) ? 其中 p=(er(Tt)S0Sd)/(SuSd)=(er(Tt)d)/(ud) 。 0( ) ( )()( ) /( ) ( ( ) /[ ( ) ] ,( ) /[ ( ) ] ( )( ) /( )u d u d u dd u u d u d r T t d d r T tu d r T tN c c S S c c u d SB S c S c S S e N S c ed c u c e u d? ? ??? ? ? ? ? ?? ? ? ? ?? ? ?Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University 積木分析法 ? 積木分析法也叫模塊分析法，指將各種金融工具進(jìn)行分解和組合，以解決金融問(wèn)題。 Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University 期權(quán)交易的四種損益圖（不考慮期權(quán)費(fèi)） Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University 金融工程師常用的六種積木 Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University 資產(chǎn)多頭＋看跌期權(quán)多頭＝看漲期權(quán)多頭 Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University 資產(chǎn)多頭＋看漲期權(quán)空頭＝看跌期權(quán)空頭 Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University 資產(chǎn)空頭＋看漲期權(quán)多頭＝看跌期權(quán)多頭 Copyright169。ZhenlongZheng 2022, Department of Finance, Xiamen University 資產(chǎn)空頭＋看跌期權(quán)空頭＝看漲期權(quán)空頭
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